Options Chain Data Exploration Analysis¶

For the Man Group PyData 2022 (https://github.com/man-group/pydata2022)

Dataset¶



























What is in the data¶

































All options are for the underlying GOOG and with expiry date 2022-05-19


































Based on the in the money column, the underlying price is between 2200 USD
    (max strike of calls in the money) and 2250 USD (min strike of calls out of the money)



























Plots¶






























                            
                    


























    

  • The Call and Put premium curves cross each other around strike ≈ 2750, which is quite larger the the underlying mid price = 2250. 
      

    • This seems to suggest to me that Puts between these two values might be underpriced (low premium)
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  • A similar conclusion than the previous plot.
      

    • It seems to suggest to me that there less risk in buying / selling at strike around the curves crossing point, 2750 USD.
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The Premium % Change is mainly positive for Puts, and mainly negative for Calls.


The premium for Puts are raising in the last days (2021-12-30 to 2022-01-05)


































                            
                    


























    

  • There is a huge spike of Open Interest (open positions) for Puts around at strike = 2700, which is close the premium curve crossing (~2750) of before.
      

    • it seems to suggest the there it should be possible to buy Puts with strike = 2700
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  • ...Also, there is not much trading happening today near the premium curve crossing point of before
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  • The Implied Volatility Curve shows the "Smirk" shape of equity markets link
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Extra Notes¶


























Last trade date in the data 2022-01-05


























I believe that from the lastTradeDate and change columns, one can infer when the dataset was extracted.


    

  • Last trade date is 5th-Jan-2022, hence this data can is extracted one day later, 6th Jan 2022.
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  • On that day, the trading price of GOOG was around 2750 USD yahoo finance), much higher then the 2225 USD in the data snapshot...
      

    • where the dates in this dataset shifted ?
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    •